Trend-Following Backtester · Guide · backtest 한국어
equity · US
James Hardie Industries plc. backtest
10 trend-following strategies were compared on the full daily history of James Hardie Industries plc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -54.3%, Sharpe 0.41, 58% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=22, slow=190 |
7.6% | -54.3% | 0.41 | 0.14 | 6.2x | 45 | 58% |
| EMA 크로스오버 fast=50, slow=113 |
7.0% | -52.0% | 0.39 | 0.13 | 5.4x | 41 | 59% |
| ROC 모멘텀 n=108, threshold=0 |
6.1% | -49.0% | 0.36 | 0.13 | 4.4x | 217 | 57% |
| Donchian 채널 돌파 entryN=105, exitN=40 |
5.5% | -45.2% | 0.35 | 0.12 | 3.8x | 53 | 43% |
| ADX / DI 방향성 period=37, threshold=11 |
4.9% | -57.9% | 0.32 | 0.08 | 3.3x | 187 | 43% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=16, mult=3.8 |
2.6% | -41.9% | 0.23 | 0.06 | 1.9x | 105 | 32% |
| 볼린저 밴드 돌파 n=43, k=2.7 |
2.0% | -52.1% | 0.21 | 0.04 | 1.6x | 59 | 18% |
| Supertrend period=8, mult=5 |
1.3% | -68.3% | 0.19 | 0.02 | 1.4x | 141 | 54% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-5.7% | -89.7% | -0.06 | -0.06 | 0.2x | 404 | 54% |
| MACD fast=24, slow=47, signal=19 |
-5.7% | -90.2% | -0.07 | -0.06 | 0.2x | 265 | 49% |
| Buy and hold | 10.9% | -76.7% | 0.46 | 0.14 | 13.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 22-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 22-day average falls below the 190-day average